| Course Overview: This two day course begins by providing a thorough introduction to the development of the asset-backed securities market and the reasons behind the increasing popularity of CDOs. It focuses on the different types of CDOs structures and the rational for their usage. It provides a clear explanation on the rating agencies’ approaches to CDOs, the use of derivatives in CDOs structures and the risk-return characteristics of CDOs in an investment portfolio. Course Content: Overview of the CDO market
European performance of CDO’s over the past year
Development of the CDO market and synthetic structures
Investor perspective of CDO structures Case study of a typical CDO structure Typical CDO structures in use
Description of a typical CDO structure
• Motivation for the deal
• Asset selection
• Deal structure
• Investor motivation Cashflow CDO
Managed and static structures
Balance sheet management
Arbitrage CDO’s Synthetic CDO
Balance sheet management
CDO^2
Single tranche CDO Case study examples of the various CDO structures Rating agency models
Overview of the rating agency approaches
Understanding defaults, correlation and recoveries
The different approaches to correlation and the problems involved
Review of the three basic models in use – S&P, Moody’s and Fitch Case study example of a recent CDO rating Synthetic CDO’s
The main credit derivative products used in CDO’s
• Default swaps
• FTD swaps
• Basket swaps
• Credit linked notes
• Total return swaps
Documentation and legal issues
Overview of ISDA documentation issues in respect of synthetic CDO’s
Credit triggers and settlement procedures Case study examples of recent synthetic CDO deals | 
